BIGG Brexit Meeting next week...how is everyone playing it?

StockFetcher Forums · Filter Exchange · BIGG Brexit Meeting next week...how is everyone playing it?

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pthomas215 1,251 posts msg #129167 - Ignore pthomas215	6/15/2016 10:29:16 PM It appears that TVIX will respond to volatility due to the big brexit meeting next week. Any thoughts on how to play England possibly leaving the current European union?
johnpaulca 12,036 posts msg #129170 - Ignore johnpaulca modified	6/15/2016 11:39:18 PM Brexit....This is the kind of sentiment will leads to extreme risk-aversion. Global capital might soon be pouring into the US, pushing bond prices up and interest rates down.....how do you say...negative interest rate.
pthomas215 1,251 posts msg #129171 - Ignore pthomas215	6/16/2016 12:20:23 AM I agree. I think it's going to be bigger than people think. by next week there may be a rush to bonds and cash due to instability. I would think TVIX will pull back a bit until next Wednesday, and then explode.
graftonian 1,089 posts msg #129174 - Ignore graftonian	6/16/2016 7:38:27 AM I agree, the overall effect will be negative for equities.
Kevin_in_GA 4,599 posts msg #129194 - Ignore Kevin_in_GA	6/16/2016 5:49:07 PM Volatility ETF pair trades
pthomas215 1,251 posts msg #129200 - Ignore pthomas215	6/17/2016 1:07:53 AM Kevin, do you mind explaining your strategy around pair trades? what do you look for, when do you go long/short?
Kevin_in_GA 4,599 posts msg #129201 - Ignore Kevin_in_GA	6/17/2016 7:41:06 AM You guys always want to play directional on these events, leaving yourself open to guessing wrong and getting screwed. I prefer to use mean reversion on pair trades which, while perhaps not giving the same thrill of a big win will minimize the risk of loss. Example: Fetcher[ SYMLIST(VIXM,VXZ) /CALCULATE THE PAIR RATIO/ SET{LEFT, IND(VIXM,CLOSE)} SET{RIGHT, IND(VXZ,CLOSE)} SET{RATIO, LEFT / RIGHT} SET{PAIRSPREAD, LEFT - RIGHT} /DETERMINE THE 14 DAY MOVING AVERAGE FOR THE RATIO/ SET{RATIOMA14, CMA(RATIO,14)} SET{SPREADMA14, CMA(PAIRSPREAD,14)} /DETERMINE THE PERCENT ABOVE/BELOW THE MA(14) FOR THE RATIO/ SET{RATIOPCT1, RATIO / RATIOMA14} SET{RATIOPCT2, RATIOPCT1 - 1} SET{RATIOPCT, RATIOPCT2 * 100} /DETERMINE THE 14 DAY ZSCORE FOR THE RATIO/ SET{RATIOSTD14, CSTDDEV(RATIO,14)} SET{RATIO2STD, 2 * RATIOSTD14} SET{RATIOUPPERBB, RATIOMA14 + RATIO2STD} SET{RATIOLOWERBB, RATIOMA14 - RATIO2STD} SET{RATIODIFF14, RATIO - RATIOMA14} SET{RATIOZSCORE, RATIODIFF14 / RATIOSTD14} SET{SPREADSTD14, CSTDDEV(PAIRSPREAD,14)} SET{SPREADDIFF14, PAIRSPREAD - SPREADMA14} SET{SPREADZSCORE, SPREADDIFF14 / SPREADSTD14} /DETERMINE DIRECTION OF PAIR TRADE AND THE NUMBER OF SHARES TO BE BOUGHT OR SOLD/ SET{BELOWLBB, COUNT(RATIOZSCORE BELOW -2,1)} SET{ABOVEUBB, COUNT(RATIOZSCORE ABOVE 2,1)} SET{LEFTSHARES1, 10000 / LEFT} SET{LEFTSHARES, ROUND(LEFTSHARES1, 0)} SET{LEFTLONG, BELOWLBB * LEFTSHARES} SET{LEFTSHORT, ABOVEUBB * LEFTSHARES} SET{RIGHTSHARES1, 10000 / RIGHT} SET{RIGHTSHARES, ROUND(RIGHTSHARES1, 0)} SET{RIGHTLONG, ABOVEUBB * RIGHTSHARES} SET{RIGHTSHORT, BELOWLBB * RIGHTSHARES} /FORMAT FILTER COLUMN OUTPUT/ ADD COLUMN AVERAGE VOLUME(50) {AVERAGE VOLUME} ADD COLUMN SEPARATOR ADD COLUMN RATIOZSCORE {RATIO Z-SCORE} ADD COLUMN RATIOPCT {PERCENT AWAY FROM MEAN} ADD COLUMN SEPARATOR ADD COLUMN SPREADZSCORE {SPREAD Z-SCORE} ADD COLUMN SPREADDIFF14 {SPREAD DIFFERENCE} ADD COLUMN SEPARATOR ADD COLUMN LEFTLONG {VIXM - SHARES LONG} ADD COLUMN RIGHTSHORT {VXZ - SHARES SHORT} ADD COLUMN SEPARATOR ADD COLUMN LEFTSHORT {VIXM - SHARES SHORT} ADD COLUMN RIGHTLONG {VXZ - SHARES LONG} ADD COLUMN SEPARATOR /DRAW RATIO PLOT AND ZSCORE/ DRAW RATIO ON PLOT RATIOMA14 DRAW RATIOUPPERBB ON PLOT RATIOMA14 DRAW RATIOLOWERBB ON PLOT RATIOMA14 PLOTTYPE{RATIOZSCORE, ZEROBAR} DRAW RATIOZSCORE LINE AT 2 DRAW RATIOZSCORE LINE AT -2 DRAW RATIOZSCORE LINE AT 0 PLOTTYPE{SPREADZSCORE, ZEROBAR} DRAW SPREADZSCORE LINE AT 2 DRAW SPREADZSCORE LINE AT -2 DRAW SPREADZSCORE LINE AT 0 CHART-TIME IS 6 MONTHS ] This simply plays VIXM versus VXZ - if the ratio of these two ETFs goes outside of the BB(14,2) in either direction you bet long/short on a mean reversion. How has this particular pair strategy done over the past five years? https://www.pairtradinglab.com/backtests/V2Pg8zHfkxL8y57c It returned almost 10% per year (beating the return of the S&P over the same time frame) but had only a 2.2% max drawdown and was profitable 100% of the time - 101 pair trades entered, 101 profitable.
johnpaulca 12,036 posts msg #129205 - Ignore johnpaulca	6/17/2016 9:04:59 AM Kevin, this is fantastic, could make my pairs trading a lot easier....thank you!!
pthomas215 1,251 posts msg #129207 - Ignore pthomas215	6/17/2016 9:42:35 AM Thank you Kevin. not trying to play directional...just wanted to understand what you were saying. some of this stuff is new to me.
ferndave 65 posts msg #129256 - Ignore ferndave	6/20/2016 3:47:37 PM Kevin, for those who don't have an account that allows shorting, can this filter be used with buying XIV instead? Use it like an indicator?

StockFetcher Forums · Filter Exchange · BIGG Brexit Meeting next week...how is everyone playing it?

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